An Empirical Study On The Influence Of Investor Concern On Stock Price Fluctuation Of GEM Listed Companies

Since the 1980s,financial anomalies in financial markets have appeared frequently,which makes people gradually doubt the basic framework of traditional financial theories,such as asset pricing theory based on efficient markets.Many scholars began to examine the trading and investment decisions of market micro-subjects from the perspective of psychology combined with the theoretical basis of finance.In recent decades,many phenomena that violate the academic cognition of traditional financial scholars frequently appear in the market.Many anomalies,such as excessive fluctuations in the stock market and excessive trading of investors,have attracted the attention of many scholars in the securities market.Many scholars have begun to try to cut into the financial market from the psychological perspective and put forward extensive doubts on the theoretical assumptions of traditional finance,thus gradually producing the theoretical framework of behavioral finance.Scholars began to analyze and study the micro-subjects of financial markets in combination with reality.All kinds of Information spread through information media,and individual investors will process the information to a limited extent after receiving it,which will eventually affect individual investors to make investment transactions,and then affect the securities market.In recent years,investors' attention has gradually become an important perspective for behavioral finance scholars to study financial markets With the progress of network technology and the rapid development of mobile computer technology,the network channel as an information source has become more and more important.By obtaining information,investors can allocate their limited attention to the stocks they are concerned about,so as to make trading decisions.There are a large number of retail traders in China's securities market,and irrational traders account for the vast majority of them.This structure is bound to make some stock prices deviate from their normal value under irrational trading,thus causing the company's stock price to fluctuate.The innovation of internet technology has given birth to the rapid development of search engines.Internet search engines have completely changed the way for modern people to obtain engines.Internet search engines have completely changed the way for modern people to obtain information.The way for people to obtain information from traditional media and word of mouth has changed to active search for interested information through internet search engines.Therefore,this paper takes Baidu index as the proxy variable of investors' concern,and through establishing vector autoregressive model and panel regression model,deeply analyzes the internal influence and mechanism between investors' concern and GEM index and individual stock volatility.The empirical results show that investors' concern has a significant positive impact on index and individual stock volatility,but large-cap stocks dominated by institutional investors have a stabilized effect on index volatility,which can be quickly repaired.At the same time,it is concluded that over-trading plays a partial mediating role in the influence of investors' attention on the fluctuation of GEM stocks.Finally,in order to deeply explore the differences between the above indexes and individual stocks,we classify individual stocks differently,and continue to explore the influence of investors' attention on the stock price fluctuation of GEM stocks by using the differences in scale,liquidity and trading environment after the reform of GEM.